Let Z = IX,, where X,, i 1 are independent random variables with 1=1 P{X, = 2}

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Let Z = IX,, where X,, i 1 are independent random variables with 1=1 P{X, = 2} = P{X, = 0} = 1/2 Let N = Min{n. Z = 0}. Is the martingale stopping theorem applicable? If so, what would you conclude? If not, why not?

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

Question Posted: Sep 06, 2024 09:04 AM

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Let Z = IX,, where X,, i 1 are independent random variables with 1=1 P{X, = 2}

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Stochastic Processes

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